Eduardo Rossi
Names
| first: |
Eduardo |
| last: |
Rossi |
Identifer
Contact
Affiliations
-
Università degli Studi di Pavia
/ Dipartimento di Scienze Economiche e Aziendali
Research profile
author of:
- Long Memory and Tail dependence in Trading Volume and Volatility (RePEc:aah:create:2009-30)
by Eduardo Rossi & Paolo Santucci de Magistris - A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility (RePEc:aah:create:2009-31)
by Eduardo Rossi & Paolo Santucci de Magistris - Estimation of long memory in integrated variance (RePEc:aah:create:2011-11)
by Eduardo Rossi & Paolo Santucci de Magistris - Volatility jumps and their economic determinants (RePEc:aah:create:2014-27)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Chasing volatility - A persistent multiplicative error model with jumps (RePEc:aah:create:2014-29)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Indirect inference with time series observed with error (RePEc:aah:create:2014-57)
by Eduardo Rossi & Paolo Santucci de Magistris - Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach (RePEc:anc:wpaper:440)
by Andrea Bucci & Giulio Palomba & Eduardo Rossi - Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows (RePEc:arx:papers:1802.00793)
by Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi - Artificial regression testing in the GARCH-in-mean model (RePEc:ect:emjrnl:v:8:y:2005:i:3:p:306-322)
by Riccardo Lucchetti & Eduardo Rossi - Efficient importance sampling maximum likelihood estimation of stochastic differential equations (RePEc:eee:csdana:v:54:y:2010:i:11:p:2753-2762)
by Pastorello, S. & Rossi, E. - Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis (RePEc:eee:csdana:v:54:y:2010:i:11:p:2786-2800)
by Rossi, E. & Spazzini, F. - Structural analysis with mixed-frequency data: A model of US capital flows (RePEc:eee:ecmode:v:89:y:2020:i:c:p:427-443)
by Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo - Testing for no factor structures: On the use of Hausman-type statistics (RePEc:eee:ecolet:v:130:y:2015:i:c:p:66-68)
by Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo - Inference on factor structures in heterogeneous panels (RePEc:eee:econom:v:184:y:2015:i:1:p:145-157)
by Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo - Chasing volatility (RePEc:eee:econom:v:198:y:2017:i:1:p:122-145)
by Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo - A two-stage estimator for heterogeneous panel models with common factors (RePEc:eee:ecosta:v:11:y:2019:i:c:p:63-82)
by Castagnetti, Carolina & Rossi, Eduardo & Trapani, Lorenzo - Long memory and tail dependence in trading volume and volatility (RePEc:eee:empfin:v:22:y:2013:i:c:p:94-112)
by Rossi, Eduardo & Santucci de Magistris, Paolo - Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows (RePEc:jrs:wpaper:201604)
by Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo - A multivariate GARCH model for exchange rates volatility (RePEc:liu:liucec:21)
by Eduardo Rossi - Long Memory and Periodicity in Intraday Volatility (RePEc:oup:jfinec:v:13:y:2015:i:4:p:922-961.)
by Eduardo Rossi & Dean Fantazzini - Volatility Jumps and Their Economic Determinants (RePEc:oup:jfinec:v:14:y:2016:i:1:p:29-80.)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Conditional jumps in volatility and their economic determinants (RePEc:pad:wpaper:0138)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - Chasing Volatility. A Persistent Multiplicative Error Model With Jumps (RePEc:pad:wpaper:0186)
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris - Long memory and Periodicity in Intraday Volatility (RePEc:pav:demwpp:015)
by Eduardo Rossi & Dean Fantazzini - Estimation of long memory in integrated variance (RePEc:pav:demwpp:017)
by Eduardo Rossi & Paolo Santucci de Magistris - Independent Factor Autoregressive Conditional Density Model (RePEc:pav:demwpp:021)
by Alexios Ghalanos & Eduardo Rossi & Giovanni Urga - Inference on Factor Structures in Heterogeneous Panels (RePEc:pav:demwpp:demwp0002)
by Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani - A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors (RePEc:pav:demwpp:demwp0066)
by Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani - Inference on Factor Structures in Heterogeneous Panels (RePEc:pav:demwpp:demwp0088)
by Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani - Testing for no factor structures: on the use of average-type and Hausman-type statistics (RePEc:pav:demwpp:demwp0092)
by Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani - Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis (RePEc:pra:mprapa:12260)
by Rossi, Eduardo & Spazzini, Filippo - Euro corporate bonds risk factors (RePEc:pra:mprapa:13440)
by Castagnetti, Carolina & Rossi, Eduardo - Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study (RePEc:pra:mprapa:26196)
by Castagnetti, Carolina & Rossi, Eduardo - Univariate GARCH models: a survey (in Russian) (RePEc:qnt:quantl:y:2010:i:8:p:1-67)
by Eduardo Rossi - Hedging interest rate risk with multivariate GARCH (RePEc:taf:apfiec:v:12:y:2002:i:4:p:241-251)
by Eduardo Rossi & Claudio Zucca - Estimation of Long Memory in Integrated Variance (RePEc:taf:emetrv:v:33:y:2014:i:7:p:785-814)
by Eduardo Rossi & Paolo Santucci de Magistris - Independent Factor Autoregressive Conditional Density Model (RePEc:taf:emetrv:v:34:y:2015:i:5:p:594-616)
by Alexios Ghalanos & Eduardo Rossi & Giovanni Urga - Euro Corporate Bond Risk Factors (RePEc:wly:japmet:v:28:y:2013:i:3:p:372-391)
by Carolina Castagnetti & Eduardo Rossi - Indirect inference with time series observed with error (RePEc:wly:japmet:v:33:y:2018:i:6:p:874-897)
by Eduardo Rossi & Paolo Santucci de Magistris - A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges (RePEc:wly:jfutmk:v:33:y:2013:i:1:p:77-102)
by Eduardo Rossi & Paolo Santucci de Magistris